References
- DuMouchel , W. 1983 . Estimating the stable index α in order to measure tail thickness . Annals of Statistics , 11 : 1019 – 1036 .
- Grimshaw , S. D. 1993 . Computing maximum likelihood estimates for the Generalized Pareto Distribution . Technometrics , 35 : 185 – 191 .
- Hosking , J. R. M. and Wallis , J. R. 1987 . Parameter and quantile estimation for the Generalized Pareto Distribution . Technometrics , 29 : 339 – 349 .
- Joe , H. 1987 . Estimation of quantiles of the maximum of n observations . Biometrika , 74 : 347 – 354 .
- Pickands , J. 1975 . Statistical inference using extreme order statistics . Annals of Statistics , 3 : 119 – 131 .
- Smith , R. L. 1987 . Estimating tails of probability distributions . Annals of Statistics , 15 : 1174 – 1207 .